I was just goofing around with this algo, and set the trading time to mid-day. The results were relatively poor. Then I switched to one hour after open, and got this result. There seems to be a time-of-day dependence, although it demands more investigation.

Thought I'd share in case someone has insights, or would like to do some testing.

We have migrated this algorithm to work with a new version of the Quantopian API. The code is different than the original version, but the investment rationale of the algorithm has not changed. We've put everything you need to know here on one page.

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This short research document may be of interest to you. I ran this many years ago, but was reminded of it by your post. In it I used proprietary software (where I used to work) to test many variations of the strategy which essentially answers the question of whether there time differential correlation in the markets. What is presented are only those scenarios which stood out.

I'm new to Q, but have been looking at some of your postings. I've done algorithmic trading for about 1.5 years, without having encountered this platform previously.

I say that by way of introduction to indicate that for most stocks, I've also noted a huge volume difference in the first and last 15 or so minutes of the day versus otherwise. My instinct (never really proven like what you've shown) has been that folks take money off the table in terms of profits in those intervals, particularly if the opening price is a jump up from the last closing. As such, I've waited until 9:45am to place most trades on my screens, and it typically seems to work better than a 9:30 trade.

One possibility is that this is an artifact of Quantopian's slippage model. It is quite punishing if you have the bad luck to put a relatively large order on on a small volume minute. I'd hypothesize that volumes tend to be less at mid-day than an hour after the open, hence you're getting hit by the slippage model more dramatically at mid-day than at the open?

I am new to Quantopian's famly. I try to implement the trading algorithm based on Market Tech's study.
However, my code seems not working well. I am wondering whether I miss anything in my code. Any comment and revision will be very appreciated.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.